Estimating Markov Transition Matrices Using Proportions Data : An Application to Credit Risk /

This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology that uses aggregate proportions data. This methodology is ideal for credit-risk applications where there is a paucity of data on changes in credit quality, especially at an aggreg...

Fuld beskrivelse

Bibliografiske detaljer
Hovedforfatter: Jones, Matthew
Format: Tidsskrift
Sprog:English
Udgivet: Washington, D.C. : International Monetary Fund, 2005.
Serier:IMF Working Papers; Working Paper ; No. 2005/219
Online adgang:Full text available on IMF